| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 486354 | Procedia Computer Science | 2014 | 9 Pages |
The future market in china has been developed for 20 years and now it enters its golden age. New futures contract has accelerated to be listed for trading and the structure of the market has been accomplished in the past years. It is important to research the effect of new futurescontract on those who have been traded. And the markets participants incline to pay attention to the volatility of future price as it is one of the most important properties of futures contract. This paper uses EGARCH model to research the effect of new kinds of future on the price volatility of existing kinds, taking 8 kinds of metal futures listed in Shanghai Future Exchange for example. And it comes out that the price volatility of the existing contract would reduce after the new ones come into market.
